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math.ST2024★ 29 cited
Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations
Yacouba Boubacar Maïnassara, Bruno Saussereau
In this paper we derive the asymptotic distribution of normalized residual empirical autocovariances and autocorrelations under weak assumptions on the noise. We propose new portma…
math.ST2024
Portmanteau test for a class of multivariate asymmetric power GARCH model
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi-variate power transformed asymmetric models. We th…
math.ST2024
Estimation of subcritical Galton Watson processes with correlated immigration
Yacouba Boubacar Mainassara, Landy Rabehasaina
We consider an observed subcritical Galton Watson process with correlated stationary immigration process . Two situations a…